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Exogenous Shocks, Dynamic Correlations, and Portfolio Risk Management for the Asian Emerging and Other Global Developed and Emerging Stock Markets
Dong, Xiyong; Li, Changhong; Yoon, Seong-Min - 2023
This study examines the potential influence of exogenous shocks on time-varying correlations and portfolio strategies between the Asian emerging and other global stock markets including developed and other emerging markets. Using the ARMA-cDCC-FIEGARCH model with and without exogenous shocks,...
Persistent link: https://www.econbiz.de/10014351309
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Precious metals, cereal, oil and stock market linkages and portfolio risk management : evidence from Saudi Arabia
Mensi, Walid; Hammoudeh, Shawkat; Kang, Sang Hoon - In: Economic modelling 51 (2015), pp. 340-358
Persistent link: https://www.econbiz.de/10011476048
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Multiscale stock-bond correlation : implications for risk management
Al Rababa'a, Abdel Razzaq; Alomari, Mohammad; McMillan, … - In: Research in international business and finance 58 (2021), pp. 1-21
Persistent link: https://www.econbiz.de/10013286286
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Stress testing for Asian stock markets - an application of extreme value theory
Wang, Shen; Liu, Mei-ying; Chung, Huimin; Wu, Soushan - In: Journal of emerging markets 6 (2001) 3, pp. 16-26
Persistent link: https://www.econbiz.de/10001710745
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International risk transmission of stock market movements
Shen, Yifan - In: Economic modelling 69 (2018), pp. 220-236
Persistent link: https://www.econbiz.de/10012016158
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Does integration in the Asian frontier, emerging, and developed stock markets conceal a hidden opportunity for portfolio diversification?
Raju, Guntur Anjana; Pavto, Velip Suraj - In: The journal of wealth management : JWM 23 (2021) 4, pp. 76-91
Persistent link: https://www.econbiz.de/10012423110
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Optimal prevention for correlated risks
Courbage, Christophe; Loubergé, Henri; Peter, Richard - 2013
reduction (self-protection) so that correlation becomes endogenous. If prevention concerns only one risk, introducing a second … exogenous risk increases the level of prevention expenditures, even if correlation is negative. If prevention expenditures may …
Persistent link: https://www.econbiz.de/10010256952
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Correlation surprise
Kinlaw, Will; Turkington, David - In: The journal of asset management 14 (2013) 6, pp. 385-399
Persistent link: https://www.econbiz.de/10010258478
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An investigation of hypothetical variance-covariance matrix stress-testing
Rayer, Quintin - In: Journal of risk management in financial institutions 9 (2016) 3, pp. 264-288
Persistent link: https://www.econbiz.de/10011661846
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Machine learning risk models
Kakushadze, Zura; Yu, Willie - In: Journal of risk & control 6 (2019) 1, pp. 37-64
Persistent link: https://www.econbiz.de/10012237599